Credit Suisse to price contingent coupon autocallable yield notes on indexes

By Sarah Lizee

Olympia, Wash., Feb. 6 – Credit Suisse AG, London Branch plans to price contingent coupon autocallable yield notes due Aug. 21, 2020 linked to the lesser performing of the Russell 2000 index and S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay a quarterly coupon at an annualized rate of 7.5% to 9.5% if each index closes at or above its coupon barrier level, 70% of its initial level, on a related observation date.

The notes will be called at par if each index closes above its initial level on any quarterly autocall observation date.

The payout at maturity will be par unless either index finishes below its initial level and either index ever closes below its 70% knock-in level any day during the life of the notes, in which case investors will be fully exposed to any losses of the lesser-performing index.

Credit Suisse Securities (USA) LLC is the agent.

The note will price on Feb. 15.

The Cusip number is 22551LWB2.

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